Non-Material Changes to BKBM Benchmark

NZFBF Market Notice

Market Notice No: 202402
Date: 21 May 2024

Non-Material Changes to BKBM Benchmark

New Zealand Financial Benchmark Facility Limited (NZFBF) undertook an annual review of the BKBM Benchmark, in consultation with the NZFBF BKBM Committee, in late 2023. This review encompassed the day-to-day operation and administration of BKBM, the BKBM Operating Rules and Principles, as well as the BKBM methodology.

The outcome of this review was that there were three non-material changes that could be made to further strengthen the BKBM benchmark.

These non-material changes are as follows:

  • The reduction of the material error metric from half a basis point (0.5bpt) to a quarter of a basis point (0.25bpt).
  • The inclusion of executable bids or offers to calculate the 2-month, 4-month and 5-month tenors in the BKBM Waterfall.
  • Interpolating between the two nearest BKBM tenors set rather than just between 1-,3- and 6-month tenors.

These changes will be enacted from Tuesday 4 June 2024.

For further details on these changes please refer to the updated BKBM Operating Rules and Principles which can be found on the NZFBF website from June 4 onwards.

If you have any questions on this matter, please email or phone the NZFBF team (+64 4 333 1377).